Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 17 | 19 | 18 |
| Score | 5 | 9.44 | 6.66 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.16 | 0.15 | 0.15 |
| Idiosyncratic Volatility | 0.72 | 0.75 | 0.9 |
Annualized return and volatility
| IARYX | |
|---|---|
| Annualized Return | 0.0864 |
| Annualized Std Dev | 0.3041 |
| Annualized Sharpe (Rf=0%) | 0.2842 |
Row
Daily Return Statistics
| IARYX | |
|---|---|
| Observations | 2874.0000 |
| NAs | 2240.0000 |
| Minimum | -0.1805 |
| Quartile 1 | -0.0054 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1636 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0004 |
| Stdev | 0.0192 |
| Skewness | 0.3579 |
| Kurtosis | 18.6027 |
Downside Risk
| IARYX | |
|---|---|
| Semi Deviation | 0.0134 |
| Gain Deviation | 0.0159 |
| Loss Deviation | 0.0162 |
| Downside Deviation (MAR=210%) | 0.0173 |
| Downside Deviation (Rf=0%) | 0.0132 |
| Downside Deviation (0%) | 0.0132 |
| Maximum Drawdown | 0.5672 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0466 |
| Modified VaR (95%) | -0.0218 |
| Modified ES (95%) | -0.0218 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-03 | 2009-03-06 | 2010-04-05 | -0.5672 | 384 | 110 | 274 |
| 2011-07-25 | 2011-10-03 | 2012-01-27 | -0.2194 | 132 | 51 | 81 |
| 2013-05-22 | 2013-08-19 | 2014-05-30 | -0.1700 | 264 | 63 | 201 |
| 2015-01-27 | 2016-02-11 | 2016-05-06 | -0.1630 | 329 | 269 | 60 |
| 2010-05-04 | 2010-07-06 | 2010-09-20 | -0.1617 | 98 | 44 | 54 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IARYX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | -18.0 | 0.0 | -18.0 |
| 2009 | 0.0 | 0.0 | -0.9 | -3.8 | 3.5 | 0.9 | 0.0 | -5.1 | -4.1 | 0.0 | 1.2 | 0.0 | -8.3 |
| 2010 | 1.7 | 0.7 | 0.4 | 0.0 | -1.7 | -0.1 | 0.0 | 3.0 | 0.5 | 0.7 | 0.8 | 0.0 | 6.1 |
| 2011 | 0.5 | -2.9 | 0.2 | 0.0 | -2.8 | 1.8 | -1.6 | -1.5 | 0.0 | -3.6 | -1.1 | 0.0 | -10.4 |
| 2012 | 0.8 | 0.6 | 0.0 | 0.9 | -2.6 | 0.0 | -0.5 | 0.0 | -0.8 | 0.1 | 0.0 | 0.0 | -1.5 |
| 2013 | 0.4 | 0.5 | 0.2 | -0.8 | 0.0 | -0.6 | -0.2 | 0.0 | 1.4 | 0.7 | 0.0 | 0.0 | 1.6 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.5 | 0.0 | 0.3 | -0.2 | 0.0 | 0.0 | 0.0 | -0.4 | 0.0 | 0.7 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.8 | 1.1 | 1.5 | 0.0 | -2.0 | 0.4 | 0.0 | 1.3 | 0.0 | 3.1 |
| 2016 | 0.3 | 2.6 | 0.0 | 0.0 | 0.0 | 0.1 | 0.4 | -0.2 | 0.0 | -2.3 | -1.5 | 0.0 | -0.6 |
| 2017 | -1.3 | -0.3 | 0.0 | 0.7 | 0.6 | 0.0 | 0.4 | 0.0 | 0.0 | 0.1 | 0.1 | 0.0 | 0.3 |
| 2018 | -1.8 | -0.3 | 0.0 | 0.6 | 0.4 | 0.0 | 0.7 | 0.0 | -0.9 | 0.4 | 0.0 | 0.0 | -1.0 |
| 2019 | -0.6 | -0.1 | -0.2 | 0.1 | 0.0 | -0.2 | 0.0 | 0.0 | -0.8 | 0.0 | 0.0 | 0.1 | -1.6 |
Row
Rolling Performance Chart
Snail Trail Chart
